616 search results for "Trading"

ESSA2013 Conference

November 24, 2012
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ESSA2013 Conference

It has been just announced that during ESSA2013 conference I am planning to organize a special track on "Statistical analysis of simulation models". I hope to get some presentations using GNU R to promote it in social simulation community.It is obvious that GNU R excels in analysis of simulation data. However, very often it can be neatly...

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Extending Commodity time series

November 21, 2012
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Extending Commodity time series

I want to follow up with Extending Gold time series post by showing how we can extend Commodity time series. Most Commodity ETFs began trading in 2006, please see the List of Commodity ETFs page. I will use DBC – PowerShares DB Commodity Fund, one on the most liquid Commodity ETFs as my proxy for

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Upcoming events

November 20, 2012
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Upcoming events

New Events  Thalesians (London) 2012 November 21: Isabel Ehrlich on “Basket Options with Smile”. Abstract: Due to the distinct lack of models for basket options that remain consistent with the market smile we look at approximations that are able to accurately replicate the volatility smile. Notably we turn to the use of an Edgeworth series … Continue reading...

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Momentum in R: Part 3

November 18, 2012
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Momentum in R: Part 3

In the previous post, I demonstrated simple backtests for trading a number of assets ranked based on their 3, 6, 9, or 12 (i.e lookback periods) month simple returns. While it was not an exhaustive backtest, the results showed that when trading the top 8 ranked assets, the ranking based 3, 6, 9, and 12 … Continue reading...

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Datacentric product development and the rebirth of engineering

November 17, 2012
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Datacentric product development and the rebirth of engineering

An old irony in New York is the ubiquity of the ‘gourmet deli’. It is hard to find a deli …Continue reading »

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Parallelized Back Testing

November 16, 2012
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As mentioned earlier, currently I am playing with trading strategies based on Support Vector Machines. At a high level, the approach is quite similar to what I have implemented for my ARMA+GARCH strategy. Briefly, the simulation goes as follows: we step through the series one period (day, week, etc) at a time. For each period,

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Regime Detection Pitfalls

November 14, 2012
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Regime Detection Pitfalls

Today, I want to address some questions that I was getting regarding the Regime Detection post. In the Regime Detection post I showed an example based on the simulated data, and some of you tried to apply this example to actual stocks. There is one big problem that you have to be aware in designing

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Back-testing Rules

November 10, 2012
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Back-testing Rules

Nowadays there are many trading strategies shared online with reproducible, decent, results. Have you asked yourself, if the strategies are so profitable, why the author bother even sharing them, when the path to riches is clear – just implement the strategy and use it? There are people, of course, who are fascinated and challenged by

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Five Thirty-Hate?

November 8, 2012
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Five Thirty-Hate?

The last few days have been trying, mostly because folks keep asking me the same questions: have you voted? Who do you think will win the election? Do you think Nate Silver (http://fivethirtyeight.blogs.nytimes.com/)  is right? How confident are you ...

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Retrieving the VIX term structure in R

November 5, 2012
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  Much of my time lately has gone into analyzing and trading products in the volatility complex.  As a result, I regularly watch the VIX term structure for continuations or deviations from trend.  To make analysis simpler, I’ve written some… Read more ›

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